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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Persistent link: https://www.econbiz.de/10010899196

A mathematical resurgence of risk management: an extreme modeling of expert opinions

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

Persistent link: https://www.econbiz.de/10011025772

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10005082786

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010750766

Operational risk: A Basel II++ step before Basel III

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...

Persistent link: https://www.econbiz.de/10010635043

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655

Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations

Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009

structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …

Persistent link: https://www.econbiz.de/10008793845

Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Zgolli, Ghada - HAL - 2012

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Persistent link: https://www.econbiz.de/10010821297

Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.

Rey, Nathalie - HAL - 2009

Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...

Persistent link: https://www.econbiz.de/10008793681